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Showing posts from April 1, 2012

Econometrics for finance - Types of data

There are broadly three types of data that can be employed in quantitative analysis of financial problems: time series data, cross-sectional data, and panel data. Time series data Time series data, as the name suggests, are data that have been collected over a period of time on one or more variables. Time series data have associated with them a particular frequency of observation or collection of data points. The frequency is simply a measure of the interval over , or the regularity with which , the data are collected or recorded. Following are the examples of time series data. Series Frequency Industrial production Monthly, or quarterly Government budget deficit Annually Money supply Weekly The value of a stock As transactions occur A word on ‘As transactions occur’ is necessary. Much financial data does not start its life as being regularly spaced . For example, the price of common stock for a given comp